Dynamic analysis of stock return volatility in an integrated international capital market

This paper examines the dynamic behavior of the stock return volatility for Canada, Japan, Germany, and the United Kingdom. The evidence indicates that international stock return volatility is mainly influenced by the U.S. stock return volatility and the exchange rate volatility, supporting the international capital market integration hypothesis. There seems to be some correlation between stock return volatility and macroeconomic volatility, but the effect is relatively weaker. In addition to the economic fundamentals, the noise component is found to be time varying, confirming the AR(MA)CH specifications in the stock return models.     

Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures

We employ four various GARCH-type models, incorporating the skewed generalized t (SGT) errors into those returns innovations exhibiting fat-tails, leptokurtosis and skewness to forecast both volatility and value-at-risk (VaR) for Standard & Poor's Depositary Receipts (SPDRs) from 2002 to 2008. Empirical results indicate that the asymmetric EGARCH model is the most preferable according to purely statistical loss functions. However, the mean mixed error criterion suggests that the EGARCH model facilitates option buyers for improving their trading position performance, while option sellers tend to favor the IGARCH/EGARCH model at shorter/longer trading horizon. For VaR calculations, although these GARCH-type models are likely to over-predict SPDRs' volatility, they are, nevertheless, capable of providing adequate VaR forecasts. Thus, a GARCH genre of model with SGT errors remains a useful technique for measuring and managing potential losses on SPDRs under a turbulent market scenario.     

Obtaining collaboration benefits: the role of collaboration-specific investment and absorptive capacity in China

This study examines the role of collaboration-specific investment and absorptive capacity on the attainment of interorganizational collaboration benefits. Grounded in the extended resource-based view, and using survey data from Chinese executives, we study the driver for, and test the impacts of, collaboration-specific investment and organizational learning on collaboration performance. Our findings indicate that resource similarity between the collaborative partners affects the level of collaboration-specific investment and learning, and demonstrate an approach that firms can use to obtain both abnormal common and private benefits from participation in an interorganizational collaboration. Specifically, the findings suggest that collaboration-specific investment has a direct effect on the enhancement of absorptive capacity and attainment of common and private collaboration benefits. Furthermore, due to the direct effect of absorptive capacity on attainment of collaboration benefits, commitment of collaboration-specific investment has an indirect effect on the attainment of common and private collaboration benefits. This study is the first to apply both the competence-capability framework and extended resource-based view to study interorganizational collaboration. In fact, this study aims to determine mechanisms for a collaboration-participating firm to obtain more benefit, whether common or private. Our findings provide support for the importance of learning capability as a factor in the acquisition of collaboration benefits.     

Why and when organizational culture fosters affective commitment among knowledge workers: the mediating role of perceived psychological contract fulfilment and moderating role of organizational tenure

Drawing on Denison and Mishra (1995)’s framework of organizational culture, this study examines why and when organizational culture is related to knowledge workers’ affective commitment. Data were collected from 640 employees working in three high-technology companies in China. The findings indicate that the relationship between organizational culture and affective commitment is mediated by perceived psychological contract fulfilment. In addition, organizational tenure moderates the relationship between two external dimensions (i.e. adaptability and mission) of organizational culture and perceived psychological contract fulfilment. This study extends the current theoretical framework of organizational culture by demonstrating the underlying mechanism and the boundary condition of the relationship between organizational culture and affective commitment. The findings also provide practical implications for international managers to design appropriate human resource management policies and practices in China.     

The willingness of heritage tourists to pay for perceived authenticity in Pingxi,Taiwan

Authenticity plays an important role in heritage tourism. Previous studies have employed secondary data to assess the value of authenticity. This study goes further and empirically measures the intrinsic value of authenticity directly by integrating both qualitative and quantitative methods. The study was conducted in Pingxi, Taiwan and used open-ended questions to guide respondents to construct their own perceived authenticity. The respondents were asked whether they were willing to pay for what they had described. Four hundred and three valid responses were obtained. By using the dichotomous choice method and logistic distribution function, the willingness to pay (WTP) was estimated as NT$233. The study compiled 15 items to measure perceived authenticity based on previous literature and on-site visitor surveys. Three factors were derived by employing exploratory factor and confirmatory factor analyses. Discriminant analysis showed that intra-personal authenticity has a greater impact on WTP than object-related and inter-personal authenticity. This study might be the first empirical study to propose three independent concepts of authenticity, and to estimate the intrinsic value of perceived authenticity. The paper concludes suggestions that contribute both to theories of authenticity and applications by heritage management agencies.     

A bibliometric study of financial risk literature: a historic approach

This study probes into the development of financial risk literatures through the perspective of bibliometrics. The research samples were collected from the relevant international financial business bibliographic databases. A total of 2727 entries in a span of 29 years from 1970 to 2009 were collected and the results are summarized as follows: (1) the financial risk literatures under influence of the financial turmoil in Asia achieved substantial growth from 1997 to 1998 and an exponential growth curve during the global financial turmoil from 2007 to 2009; (2) the literatures were mainly journals and articles written in English; (3) the United States ranked first in sector productivity; (4) the author productivity of the financial risks was consistent with the Lotka's Law and (5) the document types of the financial risk literatures were mostly dissertation papers on economics and business.     

ON THE IMPACT OF PUBLIC DEBT ON ECONOMIC GROWTH: DOES COUNTRY RISK MATTER?

This study examines the nonlinear impacts of four country risk indices on the debt‐growth nexus for 61 countries in a panel data framework. Our results show evidence of the different debt‐growth nexus under the different degrees of country risk. Under a high‐risk environment, a country's economic growth is harmed by raising its public debt. The negative effects public debt has on economic growth become weak under low political and financial‐risk environments, while an increase in public debt could help to stimulate economic growth under low composite and economic risk environments. In addition, the differences of countries' income and debt levels also lead country risks to have different effects on the debt‐growth nexus, suggesting that a country should borrow appropriately based on its current risk environments while improving economic performance. (JEL C33, E02, H63, O43)     

Adverse selection as an explanation of credit rationing and different lender types

An adverse selection model is utilized to demonstrate that informational asymmetry may make it wealth optimal for the financial intermediary (FI) to credit ration and to rationalize the existence of different lenders in the credit market. The crucial assumption is that borrowers differ in their tolerance for a lender-imposed default penalty, the severity of which also varies with the lender. The credit rationing portion proves that the FI will: 1) be forced by a binding regulatory constraint to overinvest in capital; 2) ration its worst risk class borrowers; 3) establish its optimal loan interest rate on the basis of the average quality of its loans and the interest rate elasticity of the borrower demand in its best risk category; and 4) decrease the total loan volume and increase the loan interest rate due to an increase in the capital requirement, but the effect on the default risk quality of its loan portfolio is ambiguous. The existence result is that if a lender has a high default penalty, he can charge a lower rate and attract only “good” borrowers, i.e., heterogeneous lender types encourage the screening of borrowers and vice versa.     

The Valuation Model for a Risky Asset When Its Risky Factors Follow Gamma Distributions

This paper constructed a pricing model for the asset with multi‐risks by specifying the risky factors (i.e., interest rate and termination hazard rates) to follow gamma distributions. The model not only avoids the possibility of the termination hazard rate taking an irrational (i.e., negative) value, but it also makes it easier to derive a valuation formula for a risky asset. Our model can also effortless apply because the parameters of the gamma distribution can easily be estimated from market data. An example using Taiwanese bond data illustrates how the model can be utilized for practical applications. To facilitate understanding of how accurately the different models price risky bonds, we compare their out‐of‐sample pricing errors for different hazard rate specifications assuming normal and gamma distributions. The results show that our pricing formula is realistic and accurate in its applications. Therefore, it should help market participants to accurately price risky assets and to effectively manage complicated portfolios.     

Marketing timeshare in Singapore: An analysis of potential customers and present owners

Timeshare has gained recognition and acceptance in many Asian countries in recent years, but is relatively slow in gaining momentum in Singapore. Timesharing is a type of real estate ownership, which may include hotels, resorts, holiday villas, apartments and more, whereby ownership is split among individuals on the basis of time. This paper presents a study on the attitude of potential consumers on timeshare, and to investigate the current satisfaction level of timeshare owners in Singapore. Two questionnaires were designed to survey the attitude of potential consumers and the timeshare owners. The findings showed that potential consumers’ perception of timeshare is generally negative in Singapore. The main reasons for this negative perception include undesirable sales tactics used in the industry and negative media coverage which tainted the image of the industry. Developers should provide facilities at the resorts to help timeshare owners achieve their desire for rest and relaxation, amongst other reasons.